MUB Options History — November 2017

In November 2017, MUB traded between $109.76 and $111.16. ATM implied volatility averaged 3.5%, placing in the 10.9% IV rank vs the trailing year. The 30-day expected move averaged 1.0%. IV traded above realized volatility by 1.3% (HV 20d: 2.2%). Max pain ranged from $111.00 to $117.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 3.38.

Notable Days

  • 2017-11-06: Highest Volume — 962 contracts
  • 2017-11-02: Largest IV drop — 22.9% change
  • 2017-11-01: Highest IV Rank — 20.3%
  • 2017-11-01: Largest Expected Move — 1.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$110.56$109.76$111.16$110.49$110.04
Max Pain$113.00$111.00$117.00$117.00$113.00
ATM IV3.5%2.9%4.3%4.3%3.4%
Expected Move1.0%0.8%1.2%1.2%1.0%
HV 20d2.2%2.0%2.4%2.0%2.3%
HV 60d2.0%1.9%2.1%1.9%2.0%
IV Rank10.9%3.5%20.3%20.3%9.0%
IV Percentile26.5%4.0%56.7%56.7%15.9%
Term Structure-0.0%-1.7%0.6%-0.0%0.1%
VWIV3.8%3.4%4.2%3.8%3.6%
Skew 25d1.3%0.7%2.0%1.3%1.4%
Skew 10d2.8%0.5%7.9%0.5%1.9%
Call IV 25d2.9%2.2%3.4%3.0%2.7%
Put IV 25d4.2%4.0%4.5%4.3%4.1%
Bid-Ask Spread %36.1717.73102.74102.7448.70
Gamma HHI0.370.300.470.310.39
Net GEX-2.2M-2.9M-1.8M-2.3M-1.8M
Net DEX9.4M5.6M12.0M11.0M6.9M
Net VEX-21.0K-26.0K-15.4K-25.8K-15.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.382.544.834.792.87
Total Volume625.81338962943368
Total OI2,061.8571,3762,5332,3631,423

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-11-01$110.49$117.004.3%1.2%2.0%20.3%3.8%1.3%-0.0%-2.3M11.0M-25.8K4.79102.741637802872,076
2017-11-02$110.62$111.003.3%1.0%2.1%8.5%3.8%1.3%0.6%-2.2M11.1M-26.0K4.6839.131657722692,081
2017-11-03$110.73$111.003.3%1.0%2.1%8.0%3.9%1.3%0.3%-2.2M10.3M-24.1K4.8044.371657922712,083
2017-11-06$110.85$113.003.4%1.0%2.1%9.8%3.9%1.6%0.1%-1.9M10.3M-20.5K4.8341.491657972712,191
2017-11-07$111.11$113.002.9%1.0%2.2%3.8%3.9%2.0%0.4%-2.1M10.1M-23.9K4.8331.071657972712,202
2017-11-08$111.16$113.003.5%1.0%2.2%10.6%3.9%2.0%0.4%-2.0M9.9M-23.3K3.5129.791665832712,202
2017-11-09$111.07$113.003.6%1.0%2.2%12.3%4.0%1.9%0.1%-2.4M10.1M-22.5K3.7836.821666272672,218
2017-11-10$110.74$113.003.5%1.0%2.4%10.2%3.9%1.3%0.1%-2.6M11.4M-23.6K3.5129.551665822672,253
2017-11-13$110.74$113.003.6%1.0%2.4%12.3%3.9%1.5%0.1%-2.7M11.5M-22.9K3.4928.021665792672,253
2017-11-14$110.67$113.003.6%1.0%2.3%12.1%4.2%1.7%0.2%-2.8M11.7M-23.1K2.7819.631664612672,265
2017-11-15$110.81$113.003.6%1.0%2.4%12.0%3.9%1.5%0.3%-2.7M11.2M-23.0K2.7835.291664612672,265
2017-11-16$110.72$113.002.9%0.8%2.4%3.5%3.4%1.1%0.0%-2.9M11.9M-21.2K2.7317.731694612672,265
2017-11-17$110.66$113.003.5%1.0%2.3%9.9%3.8%1.3%0.5%-1.8M12.0M-21.4K2.5422.171734402692,264
2017-11-20$110.55$113.003.5%1.0%2.3%10.6%3.8%1.1%-0.2%-1.8M5.6M-17.9K2.5629.52952431041,272
2017-11-21$110.52$113.003.7%1.1%2.2%12.9%4.0%0.9%-1.7%-1.9M6.0M-21.5K2.5628.53952431061,272
2017-11-22$110.32$113.003.8%1.1%2.1%14.4%3.7%0.7%-0.6%-1.9M6.4M-18.5K2.6647.69952531061,272
2017-11-24$110.15$113.003.6%1.0%2.2%12.3%3.5%1.8%-0.1%-2.0M6.5M-16.9K2.6627.95952531061,282
2017-11-27$110.11$113.003.6%1.0%2.1%11.7%3.5%1.0%-0.5%-2.0M7.0M-16.8K2.9545.88952801061,282
2017-11-28$109.94$113.004.0%1.1%2.1%16.4%4.0%0.9%-0.5%-2.0M7.5M-16.6K2.8529.49952711061,313
2017-11-29$109.76$113.003.4%1.0%2.2%8.9%3.4%0.8%-0.0%-1.9M8.0M-15.4K2.8724.04952731061,314
2017-11-30$110.04$113.003.4%1.0%2.3%9.0%3.6%1.4%0.1%-1.8M6.9M-15.4K2.8748.70952731061,317